Row
Rank
Predicted Beta
Idiosyncratic Volatility
Row
Annualized return and volatility
| Close | |
|---|---|
| Annualized Return | 0.0354 |
| Annualized Std Dev | 0.2751 |
| Annualized Sharpe (Rf=0%) | 0.1288 |
Row
Daily Return Statistics
| Close | |
|---|---|
| Observations | 5511.0000 |
| NAs | 1.0000 |
| Minimum | -0.1533 |
| Quartile 1 | -0.0076 |
| Median | 0.0007 |
| Arithmetic Mean | 0.0003 |
| Geometric Mean | 0.0001 |
| Quartile 3 | 0.0090 |
| Maximum | 0.1642 |
| SE Mean | 0.0002 |
| LCL Mean (0.95) | -0.0002 |
| UCL Mean (0.95) | 0.0007 |
| Variance | 0.0003 |
| Stdev | 0.0173 |
| Skewness | -0.5431 |
| Kurtosis | 9.5042 |
Downside Risk
| Close | |
|---|---|
| Semi Deviation | 0.0128 |
| Gain Deviation | 0.0115 |
| Loss Deviation | 0.0140 |
| Downside Deviation (MAR=210%) | 0.0172 |
| Downside Deviation (Rf=0%) | 0.0127 |
| Downside Deviation (0%) | 0.0127 |
| Maximum Drawdown | 0.7719 |
| Historical VaR (95%) | -0.0259 |
| Historical ES (95%) | -0.0423 |
| Modified VaR (95%) | -0.0275 |
| Modified ES (95%) | -0.0566 |
| From | Trough | To | Depth | Length | To Trough | Recovery |
|---|---|---|---|---|---|---|
| 2007-06-05 | 2009-03-09 | NA | -0.7719 | 3474 | 444 | NA |
| 1999-01-08 | 2001-10-30 | 2003-05-06 | -0.3542 | 1014 | 650 | 364 |
| 2006-05-08 | 2006-06-13 | 2006-11-29 | -0.2359 | 144 | 26 | 118 |
| 2005-03-08 | 2005-05-13 | 2005-08-01 | -0.1480 | 102 | 48 | 54 |
| 2005-09-12 | 2005-10-20 | 2005-12-13 | -0.1089 | 66 | 29 | 37 |
Row
Monthly and Calendar Year Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Close | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1999 | 0 | -0.7 | 2.7 | -1.3 | -3.4 | -1.3 | 1.4 | 2.1 | 2.2 | 0.7 | 0 | -5 | -2.9 |
| 2000 | -3.1 | -1.6 | 0 | -0.8 | -3.1 | -1.6 | 0 | 1.6 | 0 | 2.7 | 0 | -1.6 | -7.4 |
| 2001 | 3.8 | -0.6 | 0 | 1.5 | 0 | 0.6 | -0.8 | 0.6 | 4 | 3 | 4.8 | 0.3 | 18.4 |
| 2002 | 1.1 | 0.4 | 0.8 | 0.7 | -1 | 0.5 | -1.8 | 0.8 | -0.7 | 1 | -0.4 | 0.7 | 2.2 |
| 2003 | 0.4 | 0 | 2 | -0.1 | -1.8 | 2.2 | -3.4 | -0.3 | 0.1 | 0.3 | 1.5 | -0.2 | 0.7 |
| 2004 | 0.3 | 0.9 | 1.5 | -0.2 | -0.7 | -0.5 | 0 | -0.6 | 0.4 | 0.8 | 0.6 | -0.1 | 2.4 |
| 2005 | 1.4 | -0.2 | 0.2 | 0.9 | -0.1 | 0 | 2.6 | 1.4 | -0.4 | -0.4 | 1.4 | 0.2 | 7 |
| 2006 | 0.3 | 0.4 | 0.5 | -0.3 | 0.9 | 3.3 | -0.1 | 1.3 | -0.2 | -0.7 | 1.4 | 1.3 | 8.5 |
| 2007 | 0.4 | -0.9 | 0.1 | 0.3 | 0.1 | 0.4 | 0.7 | 2.1 | 1.2 | -2.6 | 0.1 | -1 | 0.9 |
| 2008 | 1.2 | -1.9 | 2.8 | 1.1 | -0.1 | -2.1 | -1.3 | 1.1 | -1.2 | 3.4 | -6.3 | -0.4 | -3.9 |
| 2009 | 1.8 | 2 | 2.4 | 0.6 | 2.4 | 1.9 | 2.5 | -2.8 | -3.4 | -3.3 | 3.1 | -1.2 | 6 |
| 2010 | 2.5 | -0.2 | 1.6 | 0.3 | -3 | 2.6 | -0.7 | 2.9 | 2.2 | -1.2 | 4.9 | 1.5 | 13.9 |
| 2011 | 2.7 | -1.8 | 1 | -1.4 | -1.8 | 1.5 | -1.3 | -2 | -4 | -5.5 | -2.2 | 0.3 | -13.8 |
| 2012 | 1.9 | 1.4 | 0.4 | 0.7 | -2.4 | 5.9 | -1.1 | 2 | 1.1 | 1.3 | 0.5 | 1.7 | 14.1 |
| 2013 | 0.9 | 0.2 | -0.7 | -0.8 | -2.3 | 1.2 | 2.2 | -1.1 | 0.9 | -0.8 | -0.3 | 0.4 | -0.2 |
| 2014 | -2.4 | -1.5 | 1.5 | 0.1 | 0.4 | 0.1 | -0.8 | 0 | -0.6 | 0.6 | -0.2 | -0.7 | -3.5 |
| 2015 | -0.9 | 0.4 | 1.5 | 1 | -1 | 1.4 | 1.2 | -2 | 0.5 | 0.3 | 1.5 | -1.2 | 2.9 |
| 2016 | -0.6 | 2.3 | 0.4 | 1.5 | -1 | 0 | -1.6 | 1.7 | 1.1 | -0.4 | 0.4 | -0.1 | 3.7 |
| 2017 | 1.4 | 2 | -0.3 | 0.4 | 1 | 0.9 | 0.4 | 0.3 | 0.9 | 0.1 | 0.1 | -0.2 | 7.2 |
| 2018 | 0.8 | -0.6 | -0.3 | -0.5 | -0.1 | 1.2 | -0.3 | -0.9 | 0 | 1.3 | 0 | 0.6 | 1.2 |
| 2019 | 0.3 | 0.7 | 1.8 | -0.4 | -0.6 | 0.4 | -1.2 | 0.3 | -0.5 | 1.1 | -1.3 | 0.4 | 0.9 |
| 2020 | -0.8 | 0.3 | -3.9 | -1.7 | 1.3 | 0.6 | -3 | -0.1 | -0.1 | 0.4 | 3.5 | -1.2 | -4.8 |
| 2021 | 0.9 | 1.9 | -1.1 | NA | NA | NA | NA | NA | NA | NA | NA | NA | 1.6 |
Row
Price Chart
Row
Rolling Performance Chart
Row
Snail Trail Chart
